On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients

Jun Luo; Nicolai V Krylov

doi:10.1007/s00245-008-9037-x

On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients

Jun Luo, Nicolai V Krylov

Mathematics

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

The error bounds of order h + τ ^1/2 for two types of finite-difference approximation schemes of parabolic Bellman equations with constant coefficients are obtained, where h is x-mesh size and τ is t-mesh size. The key methods employed are the maximum principles for the Bellman equation and the approximation schemes.

Original language	English (US)
Pages (from-to)	315-344
Number of pages	30
Journal	Applied Mathematics and Optimization
Volume	58
Issue number	3
DOIs	https://doi.org/10.1007/s00245-008-9037-x
State	Published - Dec 2008

Keywords

Bellman equations
Bellman's principle
Comparison principle
Finite-difference approximations
Fully nonlinear equations
Maximum principle

Access

10.1007/s00245-008-9037-x

OpenUrl availability

Full text

Cite this

@article{4c512562b0a54074953a25d228523e32,

title = "On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients",

abstract = "The error bounds of order h + τ 1/2 for two types of finite-difference approximation schemes of parabolic Bellman equations with constant coefficients are obtained, where h is x-mesh size and τ is t-mesh size. The key methods employed are the maximum principles for the Bellman equation and the approximation schemes.",

keywords = "Bellman equations, Bellman's principle, Comparison principle, Finite-difference approximations, Fully nonlinear equations, Maximum principle",

author = "Jun Luo and Krylov, {Nicolai V}",

year = "2008",

month = dec,

doi = "10.1007/s00245-008-9037-x",

language = "English (US)",

volume = "58",

pages = "315--344",

journal = "Applied Mathematics and Optimization",

issn = "0095-4616",

publisher = "Springer New York",

number = "3",

}

TY - JOUR

T1 - On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients

AU - Luo, Jun

AU - Krylov, Nicolai V

PY - 2008/12

Y1 - 2008/12

N2 - The error bounds of order h + τ 1/2 for two types of finite-difference approximation schemes of parabolic Bellman equations with constant coefficients are obtained, where h is x-mesh size and τ is t-mesh size. The key methods employed are the maximum principles for the Bellman equation and the approximation schemes.

AB - The error bounds of order h + τ 1/2 for two types of finite-difference approximation schemes of parabolic Bellman equations with constant coefficients are obtained, where h is x-mesh size and τ is t-mesh size. The key methods employed are the maximum principles for the Bellman equation and the approximation schemes.

KW - Bellman equations

KW - Bellman's principle

KW - Comparison principle

KW - Finite-difference approximations

KW - Fully nonlinear equations

KW - Maximum principle

UR - http://www.scopus.com/inward/record.url?scp=54949093286&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=54949093286&partnerID=8YFLogxK

U2 - 10.1007/s00245-008-9037-x

DO - 10.1007/s00245-008-9037-x

M3 - Article

AN - SCOPUS:54949093286

SN - 0095-4616

VL - 58

SP - 315

EP - 344

JO - Applied Mathematics and Optimization

JF - Applied Mathematics and Optimization

IS - 3

ER -

On the rate of convergence of the finite-difference approximations for parabolic Bellman equations with constant coefficients

Abstract

Keywords

Access

OpenUrl availability

Other files and links

Fingerprint

Cite this